经济基本面可以预测人民币汇率吗？

Can Economic Fundamentals Predict the RMB Exchange Rate?

本文选用七个主流基本面模型,利用2005年8月至2016年12月间数据建立美元、日元、英镑、欧元兑人民币汇率的预测模型,检验经济基本面模型对人民币汇率的预测效果。预测结果表明:纳入实际汇率的基本面模型,人民币汇率的预测效果显著提高;在所有预测期限,基本面模型的可预测性均不弱于随机游走模型;基本面模型的短期预测能力较好,中长期预测能力较差;日元和美元兑人民币汇率的预测效果均好于欧元和英镑。

In this paper, seven mainstream fundamental models and the data during the August 2005-December 2016 are used to set up the models to predict the exchange rates of USD/JPY/GBP/EUR against RMB, and test the roles of economic fundamentals to predict RMB exchange rate. The prediction results show that the abilities to predict RMB exchange rate increase greatly if the fundamental models include the real exchange rate; in all prediction periods, the predictability of the fundamental models is not weaker than that of random walk models; the short-term prediction abilities of the fundamentals are good, but their medium and long-term prediction abilities are poor; the prediction results of the exchange rates of JPY/USD against RMB are better than those of EUR/GBP against RMB.